Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.2718
Annualized Std Dev 0.6131
Annualized Sharpe (Rf=0%) -0.4433

Row

Daily Return Statistics

Close
Observations 3556.0000
NAs 1.0000
Minimum -0.3656
Quartile 1 -0.0181
Median -0.0008
Arithmetic Mean -0.0005
Geometric Mean -0.0013
Quartile 3 0.0161
Maximum 0.4212
SE Mean 0.0006
LCL Mean (0.95) -0.0018
UCL Mean (0.95) 0.0008
Variance 0.0015
Stdev 0.0386
Skewness 0.1849
Kurtosis 14.1648

Downside Risk

Close
Semi Deviation 0.0269
Gain Deviation 0.0300
Loss Deviation 0.0284
Downside Deviation (MAR=210%) 0.0315
Downside Deviation (Rf=0%) 0.0271
Downside Deviation (0%) 0.0271
Maximum Drawdown 0.9911
Historical VaR (95%) -0.0549
Historical ES (95%) -0.0884
Modified VaR (95%) -0.0509
Modified ES (95%) -0.0509
From Trough To Depth Length To Trough Recovery
2007-03-06 2021-03-12 NA -0.9911 3537 3531 NA
2007-02-13 2007-02-26 2007-02-27 -0.0478 10 9 1
2007-02-08 2007-02-08 2007-02-12 -0.0166 3 1 2
2007-02-28 2007-02-28 2007-03-01 -0.0161 2 1 1
2007-02-05 2007-02-05 2007-02-07 -0.0132 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA 2.4 2.4 -0.5 -1.7 -0.6 3.6 -2.1 -2.6 3.7 -0.5 2.5 6.6
2008 -1.5 3.4 -3.2 5.1 -1.3 -0.9 0.5 1.5 1.7 -2.5 19 -1.7 19.7
2009 2.2 5.7 -5 -6.1 -7.2 0.1 -1.2 3.7 5.7 7.1 -2.8 1.9 2.8
2010 -6.1 -2 -3.6 2.4 8.6 0.5 0.6 -7.4 -2.3 -0.6 -5.6 -0.2 -15.5
2011 -3.4 3.5 -0.6 -3.1 4.6 -2.1 0.3 1.5 5.8 6 0.8 0.3 13.9
2012 -0.8 -1.9 -1.4 -2.5 4.8 -6.4 -1 -1.8 -0.9 -1.1 0.2 -4 -16
2013 -1.6 0.4 0.2 2.9 4.1 -1.5 -2.5 0.3 -1.5 0.7 0.4 -1.8 0
2014 2.7 -1.1 -1 0.8 0 -0.2 1.5 -1.2 3.9 -3.9 -0.8 1.4 1.7
2015 -1.6 0.5 -0.4 -0.4 0.6 3 5.1 7.6 -0.4 -1.5 -1.4 -0.9 10.3
2016 3.8 -4 2.8 0.1 -0.4 -1.2 6.6 0.5 -2.5 -0.1 -0.5 0.6 5.5
2017 1.5 -4.2 0.3 0.4 -1.2 -0.9 0.1 -1.9 0.1 -2.4 -1.7 0.6 -9
2018 -2 0.3 -4.4 1.2 -0.7 -1.2 2.7 1.3 -2.9 -1.9 0.9 -0.7 -7.4
2019 -3.3 -3.7 -2.7 4.3 3.5 -0.4 5.1 0.2 4.3 -5 1.9 -1.2 2.3
2020 6.2 -2.7 8.7 11.6 -3.3 4.9 1 1.3 6.1 -0.7 -0.6 1.4 38.5
2021 -1.5 -4.9 -0.2 NA NA NA NA NA NA NA NA NA -6.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-02-01 1369. SPY    145.  6.00e-3   0.0165   0.0211   0.0493    0.134    0.274    0.293 GLD    65.2  0.006    0.0181
2 2007-02-02 1383  SPY    145.  1.40e-3   0.0186   0.0243   0.0509    0.128    0.271    0.280 GLD    64.3 -0.0144   0.0028
3 2007-02-05 1365. SPY    145.  3.00e-4   0.0197   0.0224   0.0584    0.141    0.273    0.286 GLD    64.3  0.0005   0.0085
4 2007-02-07 1395  SPY    145.  2.20e-3   0.0102   0.0285   0.0635    0.147    0.283    0.330 GLD    64.6 -0.0025  -0.0031
5 2007-02-08 1372. SPY    145. -1.30e-3   0.0028   0.028    0.0503    0.156    0.267    0.334 GLD    65.5  0.0138   0.0046
6 2007-02-09 1374. SPY    144. -7.40e-3  -0.006    0.017    0.0385    0.137    0.257    0.332 GLD    66.1  0.0092   0.0286
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart